That may not mean anything's wrong -- Let's say you start out with AVS being the default. You open up MPlayer, and you see the options "Make MPlayer the default," and, "Use my current settings," which means AVS. So you click to make MPlayer the default, and the next time you look at the settings in MPlayer, it says "Use my current settings" because Media Player IS the current setting.
To verify that it is the default, under the Start --> All Programs menu, one of the first listings will be something like "Default Programs." Open that up and verify things are associated properly.